Nicholas Pratt
Nicholas Pratt

Transactional FX data: Powering improved granular research and analysis

Trading volumes are growing intensely in the FX market as are the number of participants and the pools of available liquidity. The variety of strategies are also increasing, in particular the use of algorithms. All of these trends have led to a growing requirement for more transactional data. Yet despite its size, the FX market is relatively poorly served in this regard, other than the most basic of pricing data. For example, up until now the primary source of global FX trading volumes was the triennial survey from the Bank of International Settlements.

First Published: e-Forex Magazine 28 / Features / July, 2007

But clearly three years is not an urgent enough timeframe for the more advanced strategies being employed in today’s FX market. “Clients are seeking to validate, back-test and continuously refine their models using high-quality market data that enables them to simulate trading performance under near real-world conditions,” says Keith Lite, Director of Business Development and Strategy, Hotspot FX, Inc.  “As an ECN, Hotspot FXi generates tick data consisting of both price and quantity across the full depth of book. It’s all firm, executable data.” The concept of indicative data does not exist in the FX markets, says Lite. But the strength of Hotspot’s market data offering, he claims, is from the diverse sources used – such as market making banks, statistical arbitrage and black box traders, traditional asset managers, pension funds, corporates and prop shops at funds and banks. Additionally, Lite claims that on any given day, Hotspot’s share of...continued

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